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The role of commodity prices in forecasting U.S. core inflation

Gospodinov, Nikolaj - 2016

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...

Persistent link: https://www.econbiz.de/10011428084

The Role of Commodity Prices in Forecasting U.S. Core Inflation

Gospodinov, Nikolay - 2017

Persistent link: https://www.econbiz.de/10012970034

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2018

This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on …

Persistent link: https://www.econbiz.de/10011883796

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2017 - This draft: December2017

A forecasting exercise is presented to assess the predictive potential of a daily price index based on online prices …

Persistent link: https://www.econbiz.de/10011771633

Developing an underlying inflation gauge for China

Amstad, Marlene; Huan, Ye; Ma, Guonan - 2014

information. Finally, when forecasting the headline CPI, our UIG for China outperforms traditional core measures over different …

Persistent link: https://www.econbiz.de/10010412468

The FRBNY Staff Underlying Inflation Gauge : UIG

Amstad, Marlene; Potter, Simon M.; Rich, Robert W. - 2014

Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...

Persistent link: https://www.econbiz.de/10010404156

Forecasting Thailand's Core Inflation

Sun, Tao - 2006

This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the … combining a short-term model, which attempts to distill the forecasting power of a variety of monthly indicators purely on …-run structural determinants. The result is a promising model for forecasting Thai core inflation over horizons up to 10, 24, and 55 …

Persistent link: https://www.econbiz.de/10012783174

Nowcasting U.S. Headline and Core Inflation

Knotek, Edward S. - 2015

Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious …

Persistent link: https://www.econbiz.de/10013033517

Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance

Manescu, Cristiana - 2017

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative to oil futures and the random walk over the period 1995Q1-2015Q2, including periods of stable, upwardly trending and rapidly dropping oil prices. None of the individual methods...

Persistent link: https://www.econbiz.de/10012964616

Forecasting the Brent oil price : addressing time-variation in forecast performance

Manescu, Cristiana; Van Robays, Ine - 2016

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative to oil futures and the random walk over the period 1995Q1 - 2015Q2, including periods of stable, upwardly trending and rapidly dropping oil prices. None of the individual...

Persistent link: https://www.econbiz.de/10011573261